Proxy.

The proxy is primarily useful if you have a zimbra installation with multiple mail stores and need a single point of entry for a non-zimbra IMAP client (like a wireless client). The proxy allows the IMAP client to connect to a url like imap.domain.com, and have it transparently handle traffic to imap-1.domain.com, imap-2.domain.com, et al. based on the actual mail store used by the user.

If you only have a single mailstore, its likely the proxy is not something you'd need.